Technical paper/Credit risk modelling
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Perverse capital
Perverse capital
A practical anatomy of IRC modelling
Research Papers
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
A bottom-up model with top-down dynamics
Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…
Time to adapt copula methods for modelling credit risk correlation
In an evolving market, a new standard for the price quotation of credit products that models correlated changes in credit spreads as well as default times is needed, argues Darrell Duffie.
How good is your information?
Fraud, opaque accounting practices and incomplete data are unavoidable. Butare they factored into a credit risk forecast? An emerging class of models doesthe job by assuming incomplete information. Barra's Lisa Goldberg explains.
Collateral damage
Credit risk
IRB approach explained
At the end of this month, the consultation period for the new Basel Accord on bank capital will end. We have prepared a technical section this month devoted to various issues surrounding Basel II. In the first paper, Tom Wilde sheds light on the…
Modelling default correlation
Credit risk
A credit risk catwalk
Credit risk models
Reconcilable differences
H Ugur Koyluoglu and Andrew Hickman explore the common ground between the new credit risk models and the implications for risk management and regulatory capital reform.